Published on 3/16/2016 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $6.15 million dual directional review notes tied to S&P, EAFE ETF
By Tali Rackner
Norfolk, Va., March 16 – JPMorgan Chase & Co. priced $6.15 million of 0% dual directional review notes due Sept. 24, 2017 linked to the least performing of the S&P 500 index and the iShares MSCI EAFE exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be called at par plus an annualized call premium of 9% if each index closes at or above its initial level on March 13, 2017, and 13.5% if each index closes at or above its initial level on Sept. 11, 2017.
If the notes are not called and the return of each index is negative 20% or greater, the payout at maturity will be par plus the absolute value of the return of the lesser-performing index. Otherwise, investors will lose 1.25% for every 1% that the lesser-performing index declines beyond 20%.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
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| Issue: | Dual directional review notes
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| Underliers: | S&P 500 index and iShares MSCI EAFE ETF
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| Amount: | $6,154,000
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| Maturity: | Sept. 14, 2017
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| Coupon: | 0%
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| Price: | Par of $1,000
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| Payout at maturity: | If notes are not called and return of each index is negative 20% or greater, par plus absolute value of return of lesser-performing index; otherwise, 1.25% loss for every 1% that lesser-performing index declines beyond 20%
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| Call: | Automatically at par plus 9% if each index closes at or above its initial level on March 13, 2017, and 13.5% on Sept. 11, 2017
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| Initial index levels: | 2,022.19 for S&P 500 and $57.32 for iShares MSCI EAFE
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| Pricing date: | March 11
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| Settlement date: | March 16
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 0.15%
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| Cusip: | 48128GRJ1
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